Any of the Bioshock series have choices that influence the ending. I'm halfway through Bioshock Infinite, so I don't know for sure - but the storyline is pretty gripping.
Since you have a PS3 - try the Uncharted series and the Last of Us when it comes out.
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Definitely looking forward to the Last of us, but I have trouble justifying spending $60 on a game.
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I don't!